Assistant Vice President/Vice President - Credit Risk IRB Wholesale Model Development

Experience in

1) Wholesale Model development

2) IRB accreditation approval process

Experience -

- 8 to 15 yrs (AVP)

- 15+yrs (VP)

Leading the development of credit risk models for wholesale portfolios, ensuring compliance with IRB standards, and utilizing advanced statistical techniques and programming languages. The role requires a deep understanding of credit risk modeling, particularly for portfolios like banks, corporates, and specialized lending, and strong analytical and communication skills.

Key Responsibilities:

Model Development:

- Leading the development of IRB-compliant models for Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD) for wholesale credit portfolios.

Data Analysis:

- Conducting comprehensive data preparation, preprocessing, and analysis using tools like SAS, Python, R, and SQL.

Model Validation:

- Validating and back-testing developed models to ensure their accuracy and reliability

Required Qualifications:

Experience:

- 10+ years of hands-on experience in credit risk model development, with proven expertise in wholesale/LDP credit portfolios.

Technical Skills:

- Advanced proficiency in SAS, Python, R, and SQL, as well as strong knowledge of credit risk modeling techniques (PD, EAD, LGD).

Analytical Skills:

- Exceptional analytical and problem-solving skills, with the ability to interpret complex data and develop innovative solutions.

Communication Skills:

- Excellent written and verbal communication skills to effectively convey technical information to both technical and non-technical audiences.